Indonesian Journal of Applied Statistics
Vol 7, No 1 (2024)

Forecasting on Closing Stock Price Data Using Fuzzy Time Series

Sri Subanti (Study Program of Statistics, Universitas Sebelas Maret, Surakarta)
Asti Rahmaningrum (Study Program of Statistics, Universitas Sebelas Maret, Surakarta)



Article Info

Publish Date
28 Oct 2024

Abstract

The stock prices move up and down during trading time which is obtained from time series data. Investors need to estimate the fluctuation of stock prices in the future day to make the best investment decision. Fuzzy time series can be used as an alternative by investors in making stock price predictions. The advantage of this forecasting method compared to others is that it can formulate a problem based on expert knowledge or empirical data. This research aims to apply fuzzy time series in estimating the future value of closing stock price on the LQ45 Index. Three different methods will be applied to the data which are Chen, Lee, and Cheng. The data of the LQ45 Index will be obtained during the period of January, 4th until April 30th, 2021. The LQ45 index is chosen by many investors because it has high returns. All three model were applied and has a different rule in the calculation stage. The results show that all three models give different forecasting values and different performance of accuracy. The Lee method has the lowest values of accuracy, meanwhile the Cheng method has the highest value of accuracy. It can be concluded that Lee method is the best model indicated by the lowest value of RMSE, MAD, and MAPE for estimating the closing stock price of the LQ45 index.

Copyrights © 2024






Journal Info

Abbrev

ijas

Publisher

Subject

Agriculture, Biological Sciences & Forestry Computer Science & IT Earth & Planetary Sciences Economics, Econometrics & Finance Environmental Science

Description

Indonesian Journal of Applied Statistics (IJAS) is a journal published by Study Program of Statistics, Universitas Sebelas Maret, Surakarta, Indonesia. This journal is published twice every year, in May and November. The editors receive scientific papers on the results of research, scientific ...